Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0504
Annualized Std Dev 0.2167
Annualized Sharpe (Rf=0%) 0.2324

Row

Daily Return Statistics

Close
Observations 3267.0000
NAs 1.0000
Minimum -0.1122
Quartile 1 -0.0047
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0062
Maximum 0.1241
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0137
Skewness -0.3096
Kurtosis 11.6015

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0098
Loss Deviation 0.0114
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.5628
Historical VaR (95%) -0.0194
Historical ES (95%) -0.0343
Modified VaR (95%) -0.0201
Modified ES (95%) -0.0330
From Trough To Depth Length To Trough Recovery
2008-05-19 2009-03-09 2013-09-18 -0.5628 1344 203 1141
2020-02-13 2020-03-23 2020-08-25 -0.3353 135 27 108
2015-05-22 2016-02-11 2017-03-01 -0.2138 447 183 264
2018-01-29 2018-12-24 2019-11-25 -0.2110 461 229 232
2014-06-23 2014-10-16 2015-04-08 -0.0926 200 82 118

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA 2.7 -0.3 -0.1 -0.8 -1.2 -0.5 0.4 1.4 -8.5 1.6 -5.4
2009 -1.8 -1.1 2.4 0.6 2.3 1.4 0.5 -2.1 -2.6 -3.5 2.2 -0.2 -2.2
2010 1.8 1.4 1.4 -1.7 -1.4 0.6 0 3.1 0.9 0.1 2.6 0.3 9.6
2011 2 -1.4 0.8 0.3 -2.3 1.3 -0.9 -0.7 -3.5 -3 -0.3 0 -7.5
2012 1.3 0.7 0.7 0.5 -2.5 3 -0.1 0.7 0.5 1.3 0 1.5 7.9
2013 0.9 0.1 -0.7 -0.8 -1.7 0.6 1.4 -0.5 0.8 0 0.2 0.4 0.6
2014 -1 0.2 0.7 -0.1 0 0.8 -0.4 0.2 -1.3 1.3 -0.6 -0.9 -1.1
2015 -1.3 -0.2 0.3 0.9 -0.1 0.6 0.1 -3.3 0.2 -0.4 1 -1 -3.2
2016 -0.2 2.5 -0.1 -0.4 0.1 0.2 -0.3 0.4 0.7 -0.6 -0.5 -0.2 1.6
2017 0 1.2 -0.2 0.3 0.8 0.2 0.3 0.2 0.6 0.2 -0.3 -0.1 3.4
2018 -0.1 -1.3 1.3 -0.1 1 0.5 -0.2 -0.3 0.3 1.4 0.3 0.5 3.4
2019 -0.1 0.5 1.2 -0.7 -1 0.8 -0.8 0.2 -1.2 1 -0.6 0.2 -0.4
2020 -1.8 -1.1 -4.6 -2.6 1.3 0.7 -0.3 0.9 0.8 -0.9 1.4 0.1 -6.1
2021 1.7 2.3 0.1 NA NA NA NA NA NA NA NA NA 4.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2008-03-28  50.1 SPY    132. -0.00960  -0.0043  -0.0485  -0.121   -0.0727    0.121    0.510 GLD    91.9 -0.0169    0.0219
2 2008-03-31  49.3 SPY    132.  0.0035   -0.0204  -0.0358  -0.106   -0.0704    0.132    0.514 GLD    90.4 -0.016     0.0034
3 2008-04-01  50.6 SPY    137.  0.0352    0.0131   0.0208  -0.0726  -0.038     0.156    0.576 GLD    86.9 -0.0393   -0.0633
4 2008-04-02  51.2 SPY    137.  0.0007    0.0263   0.024   -0.065   -0.0384    0.159    0.613 GLD    89.3  0.0277   -0.0483
5 2008-04-03  51.5 SPY    137.  0.0025    0.0321   0.0305  -0.0544  -0.0463    0.167    0.593 GLD    89.4  0.0017   -0.0432
6 2008-04-04  51.5 SPY    137. -0.0011    0.0409   0.0229  -0.055   -0.0484    0.164    0.553 GLD    90.2  0.00930  -0.0177
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart